Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0497 |
| Annualized Std Dev | 0.2639 |
| Annualized Sharpe (Rf=0%) | 0.1885 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1230 |
| Quartile 1 | -0.0075 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0083 |
| Maximum | 0.1699 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | 0.2360 |
| Kurtosis | 7.7857 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0122 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0163 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6469 |
| Historical VaR (95%) | -0.0260 |
| Historical ES (95%) | -0.0385 |
| Modified VaR (95%) | -0.0233 |
| Modified ES (95%) | -0.0271 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-30 | 2008-11-20 | 2015-04-09 | -0.6469 | 1873 | 269 | 1604 |
| 1999-12-13 | 2003-04-25 | 2006-04-21 | -0.5449 | 1598 | 845 | 753 |
| 2019-04-08 | 2020-03-23 | 2021-02-17 | -0.3290 | 470 | 242 | 228 |
| 2015-05-26 | 2016-02-09 | 2017-08-02 | -0.3120 | 553 | 180 | 373 |
| 2018-01-29 | 2018-10-29 | 2019-04-04 | -0.2097 | 298 | 191 | 107 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.7 | 0 | 1.3 | -0.5 | 0.6 | 0.5 | 0.5 | 0 | 0.5 | 0 | 1.4 | 0.4 | 5.6 |
| 2000 | 1.4 | -1.4 | 1.4 | 1.5 | 4.3 | 0 | -1.9 | 0 | 0.5 | 0.5 | 4.8 | 0.5 | 12.1 |
| 2001 | 1 | -2.5 | 1.1 | 1 | 0.1 | 1.2 | 1.3 | 1.3 | -3.7 | 2 | 2.1 | -1 | 3.9 |
| 2002 | -2.5 | 1.7 | 0 | 0.5 | 0.1 | -2 | -1.6 | 0.1 | 4.9 | 1.2 | -1.5 | 1.6 | 2.4 |
| 2003 | 1.5 | 0.1 | 0.4 | 0.3 | 1.3 | 1.2 | -0.5 | 1.2 | 3 | 0.1 | 2.5 | 0.8 | 12.6 |
| 2004 | 0.8 | 0.3 | 0.4 | -0.6 | -1.6 | -1 | -0.4 | 1.2 | 1.6 | -0.6 | 1.8 | 0.2 | 2.1 |
| 2005 | 0 | 0.8 | -0.6 | 1.7 | 0.8 | -0.2 | 0.8 | 1.4 | -0.3 | 1 | 1.2 | -1.1 | 5.5 |
| 2006 | -0.6 | 1.6 | -0.9 | -0.5 | 0.7 | 0.5 | -0.9 | 1.2 | -1.5 | 0.2 | -1.4 | 0.1 | -1.4 |
| 2007 | 1.9 | -1.5 | -0.4 | 0.4 | -0.1 | -0.8 | -0.7 | 3 | 1.9 | -4.1 | 1.3 | 1.9 | 2.6 |
| 2008 | 0.5 | -3.1 | 4.2 | 1.8 | 0.6 | -0.6 | 0.2 | -1.1 | 1.1 | -2.4 | -8.1 | 1 | -6.2 |
| 2009 | 2.1 | 0.6 | 2.1 | 0.9 | 2.9 | 0.7 | 0 | -1.5 | -2.7 | -1.8 | 2 | -0.4 | 4.9 |
| 2010 | 2.6 | 1.1 | 1.7 | -1.8 | -1.5 | 0.2 | 0.4 | 2.3 | 1 | 1.7 | 2.9 | -0.7 | 10.1 |
| 2011 | 1.4 | -0.4 | 0.8 | 0.2 | -1.1 | 0.9 | 0.6 | -0.8 | -4.7 | 1 | -0.2 | 0.3 | -2.2 |
| 2012 | 0.7 | 0.3 | 0.4 | 0.9 | -1.9 | 2.8 | -0.1 | 1.1 | 0.8 | 2.2 | -0.3 | 1.2 | 8.1 |
| 2013 | 0.2 | 0 | -0.9 | -1.1 | -1.1 | -0.2 | 2 | 0.6 | 1 | 0.9 | -0.2 | 0.6 | 1.7 |
| 2014 | -0.3 | 0.2 | 2.4 | 0.3 | 0.3 | 0.3 | -0.1 | -0.8 | -1.4 | 1.1 | -2.5 | 0 | -0.5 |
| 2015 | -1.2 | -0.1 | 1.5 | 1 | 0 | 0.1 | 0.5 | -2.9 | 0.5 | -1 | 1.3 | -0.5 | -0.9 |
| 2016 | -0.8 | 1.9 | -0.7 | -1.7 | -0.3 | 0.8 | -0.2 | 1.2 | 0.4 | 0.4 | -0.9 | 0.3 | 0.2 |
| 2017 | 0.3 | 1.5 | -0.6 | 0.2 | 1.1 | -0.1 | 0.9 | 0.6 | 0.8 | 1 | -0.4 | 0.5 | 5.9 |
| 2018 | -0.9 | 0.1 | 1.1 | 0 | 0 | 0 | -1.7 | 0.2 | 0.5 | 2.9 | -0.1 | -0.2 | 2 |
| 2019 | -1.3 | 0.2 | 1.7 | -0.4 | -0.8 | 1 | -2.6 | -1.8 | -1.3 | 2.2 | -2 | 0.2 | -4.9 |
| 2020 | -2 | 0.4 | -3.3 | -2.8 | 3.2 | 0.6 | -0.6 | 0.5 | 1.1 | -1.3 | 1.6 | -0.7 | -3.3 |
| 2021 | 1 | 1.5 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
